I bought Dungeons of Dredmor on steam a few hours ago, and I actually had to force myself to stop so I could go to sleep. It's similar to Spelunky insofar as the worlds are randomly generated and death is permanent, but it's a turn-based RPG similar to Nethack (which I tried and promptly gave up on last year). What's great about it is that each time you die, you know exactly why you died, what you could have done to avoid it, and what you should do next time you start (and you will).
Every time you start a new game, you choose seven skills from a roster of forty or so, which come to define your charming adventurer, and whenever you level up, you choose one of these seven skills to earn another rank in. The first time I played, I made my guy a dashing rogue who specializes in swords - he died after being hit with an acid bolt trap (not from the trap itself, but from the acid damage he continued to take). So after that, I tried a vampire berserker who specializes in kicking things - he died after being hit with an acid bolt trap (not from the trap itself, but from the acid damage he continued to take). So after that, I tried a wizard who's really, really good at noticing traps, particularly those of the acid bolt variety, and I'm doing pretty well thus far - though, yeah, I expect to die any minute now.
If you haven't already, you really ought to try this game out - it's only selling for five bucks, after all, though I'd gladly have paid fifty.